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Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)

Listed author(s):
  • Alexei Kolokolov

    (Plekhanov Russian University of Economics, Moscow, Russia
    University of Rome 'Tor Vergata', Rome, Italy)

Registered author(s):

    This article studies modeling dependence between futures and spot prices of financial indices and verifies a practical value of econometric models for futures hedging using Russian and foreign data. The dynamics of futures and spot prices is described by an error correction model, while volatilities and correlations are modeled by various multivariate GARCH models with dynamic conditional correlations of different degree of detail. The empirical investigation carried out in the article can answer questions on effectiveness of hedging strategies based on multivariate GARCH models, on similarities and differences of dependencies between futures and basic assets in Russian and foreign financial markets, and on a reasonable degree of detail in multivariate GARCH modeling.

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    Article provided by Quantile in its journal Quantile.

    Volume (Year): (2011)
    Issue (Month): 9 (July)
    Pages: 61-75

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    Handle: RePEc:qnt:quantl:y:2011:i:9:p:61-75
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